Testing the Profitability of a Volume-Augmented Momentum Strategy in the Philippines Equity Market

Journal of Applied Finance and Banking, Vol. 3, No. 1, 2012, pp 1 - 12

12 Pages Posted: 24 Dec 2012 Last revised: 16 Jan 2013

See all articles by Lim Kai Jie Shawn

Lim Kai Jie Shawn

University College London - Department of Economics

Darius Lim Dawei

University of Nottingham

Mak Weijie

University of Nottingham

Poh Zi En Benjamin

Independent

Date Written: January 15, 2013

Abstract

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that incorporates information on volume for 16 different time combinations with varying formation and holding periods. For the strategy based only on past return information, we find little evidence in support of the profitability of a momentum strategy with the results suggesting the presence of mean-reverting prices. When volume information is incorporated, the strategies that select stocks based on volume and return information from the past 3 months show positive average monthly returns. However, after adjusting for the risk of these strategies using a single factor model and a model with market-dependent betas we find that such a strategy does not outperform the benchmark. Hence, we conclude that there is little evidence to support the profitability of a volume-augmented momentum strategy in the Philippines equity market.

Keywords: momentum, Philippines equity market, volume-augmented strategies, trading strategies, market efficiency

JEL Classification: C15, G01, G11, G17

Suggested Citation

Kai Jie Shawn, Lim and Lim Dawei, Darius and Weijie, Mak and Zi En Benjamin, Poh, Testing the Profitability of a Volume-Augmented Momentum Strategy in the Philippines Equity Market (January 15, 2013). Journal of Applied Finance and Banking, Vol. 3, No. 1, 2012, pp 1 - 12. Available at SSRN: https://ssrn.com/abstract=2193291

Lim Kai Jie Shawn (Contact Author)

University College London - Department of Economics ( email )

Gower Street
London WC1E 6BT, WC1E 6BT
United Kingdom

Darius Lim Dawei

University of Nottingham ( email )

University Park
Nottingham, NG8 1BB
United Kingdom

Mak Weijie

University of Nottingham ( email )

University Park
Nottingham, NG8 1BB
United Kingdom

Poh Zi En Benjamin

Independent ( email )

No Address Available

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